Year 2019, Volume , Issue 24, Pages 301 - 314 2019-07-24

THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS AND CREDIT RATING ANNOUNCEMENTS: AN INVESTIGATION IN THE CONTEXT OF EMERGING COUNTRIES
KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA

İbrahim Yaşar GÖK [1] , Zühal ARSLAN [2]

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In this study, the response of credit default swap (CDS) spreads to the credit rating announcements is explored in the context of some emerging countries including Turkey, China, South Africa, Brazil and Russia. By applying an event study analysis and using data for credit rating announcements of Moody’s, Fitch and S&P and daily 5-year CDS spreads for the period June 01, 2009, to May 31, 2018, it is found that positive credit rating events significantly decrease CDS spreads, whereas it is vice versa for negative credit rating events. While negative events have been anticipated by CDS markets, it is not the case for positive events. Moreover, after negative credit rating announcements, CDS spreads start to decrease significantly. However, it is not found any significant change in CDS spreads following the positive events. In general, it is concluded that credit rating events convey valuable information to CDS markets especially around the announcement date, and it is identified that both negative and positive credit rating events are important determinants of CDS spreads.

Bu çalışmada, kredi temerrüt swap (CDS) spreadlerinin kredi derecelendirme duyurularına tepkisi, aralarında Türkiye, Çin, Güney Afrika, Brezilya ve Rusya’nın yer aldığı bazı gelişmekte olan ülkeler kapsamında araştırılmıştır. Olay çalışması analizi uygulanarak ve 1 Haziran 2009 - 31 Mayıs 2018 dönemi için Moody’s, Fitch ve S&P’nin kredi derecelendirme duyuruları ile 5-yıllık CDS spreadlerinin günlük verileri kullanılarak, pozitif kredi derecelendirme olaylarının CDS spreadlerini anlamlı bir şekilde azalttığı, negatif kredi derecelendirme olaylarının ise tam tersi bir etkiyi doğurduğu bulunmuştur. Negatif olaylar CDS piyasaları tarafından öngörülebilirken, bu durum pozitif olaylar için doğrulanamamıştır. Üstelik, CDS spreadleri negatif kredi derecelendirme duyuruları sonrasında anlamlı bir şekilde düşmeye başlamaktadır. Bununla birlikte, pozitif olayları takiben CDS spreadlerinde anlamlı bir değişiklik tespit edilmemiştir. Genel olarak, kredi derecelendirme olaylarının özellikle duyuru tarihi etrafında CDS piyasaları için önemli bir bilgisel içerik teşkil ettiği sonucuna ulaşılmış ve hem negatif hem de pozitif kredi derecelendirme olaylarının CDS spreadlerinin önemli belirleyicileri olduğu açıklığa kavuşturulmuştur.

Kredi Derecelendirme Duyuruları, Kredi Derecelendirme Kuruluşları, Kredi Temerrüt Swapı, Gelişmekte Olan Ülkeler
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Primary Language tr
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0003-3941-1512
Author: İbrahim Yaşar GÖK (Primary Author)
Institution: SÜLEYMAN DEMİREL ÜNİVERSİTESİ
Country: Turkey


Orcid: 0000-0002-4757-1260
Author: Zühal ARSLAN
Institution: ısparta uygulamalı bilimler üniversitesi
Country: Turkey


Dates

Publication Date: July 24, 2019

Bibtex @research article { ulikidince534908, journal = {Uluslararası İktisadi ve İdari İncelemeler Dergisi}, issn = {1307-9832}, eissn = {1307-9859}, address = {Kenan ÇELİK}, year = {2019}, volume = {}, pages = {301 - 314}, doi = {10.18092/ulikidince.534908}, title = {KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA}, key = {cite}, author = {GÖK, İbrahim Yaşar and ARSLAN, Zühal} }
APA GÖK, İ , ARSLAN, Z . (2019). KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (24), 301-314. DOI: 10.18092/ulikidince.534908
MLA GÖK, İ , ARSLAN, Z . "KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2019): 301-314 <http://dergipark.org.tr/ulikidince/issue/47284/534908>
Chicago GÖK, İ , ARSLAN, Z . "KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2019): 301-314
RIS TY - JOUR T1 - KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA AU - İbrahim Yaşar GÖK , Zühal ARSLAN Y1 - 2019 PY - 2019 N1 - doi: 10.18092/ulikidince.534908 DO - 10.18092/ulikidince.534908 T2 - Uluslararası İktisadi ve İdari İncelemeler Dergisi JF - Journal JO - JOR SP - 301 EP - 314 VL - IS - 24 SN - 1307-9832-1307-9859 M3 - doi: 10.18092/ulikidince.534908 UR - https://doi.org/10.18092/ulikidince.534908 Y2 - 2019 ER -
EndNote %0 International Journal of Economics and Administrative Studies KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA %A İbrahim Yaşar GÖK , Zühal ARSLAN %T KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA %D 2019 %J Uluslararası İktisadi ve İdari İncelemeler Dergisi %P 1307-9832-1307-9859 %V %N 24 %R doi: 10.18092/ulikidince.534908 %U 10.18092/ulikidince.534908
ISNAD GÖK, İbrahim Yaşar , ARSLAN, Zühal . "KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA". Uluslararası İktisadi ve İdari İncelemeler Dergisi / 24 (July 2019): 301-314. https://doi.org/10.18092/ulikidince.534908
AMA GÖK İ , ARSLAN Z . KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA. IJEAS. 2019; (24): 301-314.
Vancouver GÖK İ , ARSLAN Z . KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2019; (24): 314-301.